Immediately after completing Dragon Rising, a messenger came up to me and gave me a letter. At first I thought it might be something the Mythic Dawn museum invitation. But it turns out to be a "note from a friend" telling me to go to Valthume. It says that I can gain more power there.

Has anyone else gotten this? I looked it up in the wiki, and it says that the quest starts when you enter the dungeon. They make no mention of a messenger kicking it off.

the power found there is probably a word of power, most caves with words in them also have a quest attached to them, well some of them

Edit:Also using shouts in front of people will cause the messenger to appear with different letters from a "friend"

Valthume is one of the nastier dungeons, it will contain at least three Draugr Deathlords and a half dozen Scourges at level 1, and a Lightning Cloak using Dragon Priest.
The Side Quest is started by entering Valthume, but I first learned of the Dungeon because of the Courier delivering the "Message From a Friend" too. Angier will also bring up Vathume as a location to seek a Word Wall.

Ok, it is good to know that someone else had the quest started by the courier, rather than entering the place. I was not really interested in what is inside, just how the quest starts. At first I thought it was part of the main quest, then I realized it could not be. Though the "friend" sending the message might still be Delphine. Or who knows, maybe even Parthie.

For some time I was thinking about it. Greybeards give you those locations. I wonder if you get the letters even if Blades get mad at you.

i dont think the letters are from the blades.

The question remains... who is THIS friend.

its a mystery. i doubt we'll ever find out.

I discovered something interesting in the UESP Wiki today:
So shouting at the guard outside of Whiterun, at the end of Dragon Rising, must have triggered this.

Using Yol on Paarthurnax at the Throat of the World will also trigger the courier.